Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class A. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -36.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.9%, drawdown -85.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.1%, MDD -65.0%, Sharpe 0.42, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 4.2%, MDD -36.2%, exposure 9%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=23 |
7.1% | -65.0% | 0.42 | 0.11 | 9.6x | 51 | 14% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=2.7 |
5.8% | -38.9% | 0.40 | 0.15 | 6.5x | 80 | 7% |
| Supertrend period=13, mult=3.9 |
6.1% | -87.5% | 0.34 | 0.07 | 7.1x | 143 | 44% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
4.2% | -36.2% | 0.32 | 0.12 | 3.9x | 60 | 9% |
| Donchian 채널 돌파 entryN=100, exitN=12 |
4.3% | -64.8% | 0.30 | 0.07 | 4.0x | 80 | 13% |
| SMA 크로스오버 fast=20, slow=179 |
3.6% | -83.3% | 0.27 | 0.04 | 3.2x | 71 | 41% |
| ROC 모멘텀 n=172, threshold=0.13 |
2.6% | -81.9% | 0.23 | 0.03 | 2.3x | 180 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.9% | -90.8% | 0.21 | 0.02 | 1.9x | 246 | 42% |
| EMA 크로스오버 fast=37, slow=69 |
1.6% | -90.4% | 0.21 | 0.02 | 1.7x | 101 | 41% |
| MACD fast=17, slow=31, signal=14 |
1.2% | -88.3% | 0.19 | 0.01 | 1.5x | 422 | 51% |
| Buy and hold | 3.9% | -85.6% | 0.30 | 0.05 | 3.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)